Symbols = Any securities traded on electronic exch platform. I give you 1 data list, Last done price per 100 ms. Let's forget level 2 quotes and the bid/ask spread. Here you have 390 mins x 60 x 10 ticks of data for a day's trading. who's is there to determine what is Open and Close Are they important ? There's no true open and close, and likely the close might be just the open, as good as using them to draw graphs and charts for human interpretation, or maybe 'some kind' of quantitative analysis over it. That some kind, is how I implement my Algorithm.